In this paper, we try to build an efficient portfolio among four possible portfolios based on the some 31 Casablanca listed shares. Our analysis concerns the risk which arises from the Markowitz mean-variance approach. Our work method will be implemented as following: first of all, we will test...

CRM has become one of the most leading business strategies in the new millennium. There is a verity of software solutions that impalement CRM principles including free and property ones. The aim of this research is to design and implement an evaluation model to help companies in choosing the...

FTS in Business cycles examines the dynamic effects and empirical significance of Flight to Safety (FTS) shocks in the context of US business cycles. FTS represents a sudden preference for safe over risky investments and contains important information on agents’ time-varying risk-aversion and...

The management of financial risks, which is a branch of financial theory, is defined as a process that begins with risk factors identification, continues with measurement of risk and concludes with the coverage of that risk. This work focuses on the second phase of management process, namely the...

We analyzed the volatility dynamics of three developed markets (U.K., U.S. and Japan), during the period 2003-2011, by comparing the performance of several multivariate volatility models, namely Constant Conditional Correlation (CCC), Dynamic Conditional Correlation (DCC) and consistent DCC...

We use a dynamic model averaging (DMA) approach to construct forecasts of individual equity returns for a large cross-section of stocks contained in the SP500, FTSE100, DAX30, CAC40 and SPX30 headline indices, taking value, momentum, and quality factors as predictor variables. Fixing the set of...

This article proposes an empirical investigation, based on a cross-quantilogram analysis, to assess the hedge, diversifier and safe haven properties of Environmental, Social and Governance (ESG) assets in comparison to conventional investment practices (equity index, gold, commodities and...

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

Financial crisis those we have been experienced during last two decades encouraged the efforts of both academicians and the market participants to develop clear representations of the risk exposure of a �nancial institute. As a useful tool for measuring market risk of a portfolio,...

We analyze empirically the household financial portfolio allocation decision using a variance decomposition technique that takes into account the constrained, non-normal nature of household portfolio allocation observations. We apply the technique to a relatively wide collection of financial...